Zorro is returning Astronomical Numbers when testing Z12

Hi Zorro folk,
I am having hard time figuring out why I get such astronomical numbers (~ 130k$ of Profit starting with Capital slider = 4k$) when I run the test of Z12 system in Zorro S for 6 years data... see screenshot below.
Also if the Annual Profit is 164% you do not get after 6 years the total of 133991$.
164% of 4000$ = 6560$ => x 6 years + 4000$ = 43360$
Notice that the AseetsFix.csv has been built by using the Download.c (see in attachment how I do "How I use Download.c") script so they should be updated according to my Broker last data.
I believe I am missing something here but not sure what.

I am attaching (unfortunately I had to split the [Z12_Test.log] file in two and zip them since attaching a file > 1MB is not possible.):
- Assets.csv
- Z12.txt
- Z12_test_PART_I.log
- Z12_test_PART_I.log
- How I use Download.c.png
Thanks in advance.

Hi, I do not see anything wrong with the strategy - sorry. You have a high leverage account, so the results may be there for this astronomical. You would not have a stomach for such trading though considering the level of your capital.

Please include also z.ini file for the diagnosis.

This is what the manual says:
"Before trading the system, determine your minimum capital requirement by running a [Test] with your current account parameters (see asset list) and different settings of the slider. Check the Required Capital (read performance report about how it's calculated) - that's the absolute minimum you need either in your broker account, or at least in your bank account."

Thanks a lot hast29,
I don't think it depends on the leverage for two reasons:
1) @ https://manual.zorro-project.com/brokers.htm the tutorial says:
----------
Many brokers offer the choice between several account types. Select the account with the smallest lot size and the highest leverage.
Maybe you've read in a trading book to avoid high leverage as it implies "high risk". Not so: High leverage just means that you're free to determine your own leverage.
Risk comes from trading a too high volume, not from too high leverage. Small minimum lot sizes are preferable as you can trade with less capital and can better adjust the trade volume. For low-budget trade strategies, a micro lot or nano lot account is mandatory.
----------
2) If I run the same strategy Z12 on another account with leverage 1:100 I got the same astronomical results.

I think something is messy with the AssetsFix.csv but I cannot figure what.

Hi,
I am trying to figure out why I get these astronomical numbers in Zorro S when testing Z12 on the default instruments: AUDUSD; EURUSD; GBPUSD; DE30; USTEC; US500; UK100; US30; USDCAD; USDCHF; USDJPY; XAG/USD; XAUUSD.
After downloading the most updated values (Name, Price, Spread, RollLong, RollShort,PIP, PIPCost, MarginCost, Leverage, LotAmount, Commission,Symbol) for the AssetsFix.csv I noticed that:

1) All the Forex pairs plus the Gold (XAU/USD) match (given of course the changes in spread, price etc..) the values provided by Zorro in the Assets.csv default file.

2) All the indices DO NOT MATCH the important fields: PIP and PIPCost. I believe this is the issue.
Therefore if I use PIP and PIPCost values, ~ 1 and ~ 1 as in Zorro default .csv I get plausible numbers compatible with Zorro tutorial, but when I use the values, ~ 0.01 and ~ 0.01, from the download script straight to my broker (IC Markets) via MT4 bridge, I get astronomical numbers.

3) For Silver (XAG/USD) DO NOT MATCH the important fields: PIP and LotAmount.

So now I would like to ask if anybody has already found this "issue" or if anybody is using my same broker 'IC Markets' and maybe if I could be advised on how to set the AssetsFix.csv properly.

See the screenshot below and the attached file .csv.



Thanks a lot in advance.

You are of course referring to CFD’s, which are:

1) Not exchange traded and therefore uniquely offered by different brokers. Your asset list parameters can change between brokers.
2) Since your profile is USA, I’ll also note that it is not legal for USA residents to trade CFDs.

If it helps, attached is my account.csv file. I am at the other extreme, my revenues are lower compared to the table of Z Strategies. But I am fine with that, because the strategies have drawdowns and with the volatility like last month, I would not be able to resist.
Keep in mind, there are some important parameters in the z.ini , affecting the behavior of the strategy.
I still think, the capital slider must be adapted to the account leverage and other factors. It is in accordance with the manual part, I have included into my first reply. I am not yet able to give you a better hint, ☹.

Thanks AndrewAMD, yes they are CFDs.
I have a Demo account on 'IC Markets' I guess that is allowed for US Residents... although I have a European residence too but this is irrelevant for the purpose of my inquire.
I can't get your point though.
Why do you think the Broker 'IC Markets' returns, via Download script, values that make Zorro Z12 system having such astronomical profit/numbers?
Do you think it's related to the demo account or it's an error on the broker side or simply the strategy Z12 does not work with numbers like that. Any idea?
Thanks in advance.

I was simply addressing items 2 and 3 from your previous post. Simply put, it is very possible the asset list parameters provided by your broker plugin are correct. You certainly have to take into account the CFD contract specifications provided by your broker because they are unique broker-to-broker, and adjust your asset list likewise.

I am not going to comment on the profit figures.

Thanks @hast29
which Broker are you using? And what's the leverage of your account?
In attachment my ZorroFix.ini
And yes I am running the test with different leverages and it looks like there is a HUGE difference between 1:100, 1:50 and 1:500.
Difference that I do not understand because the risk of the strategy should be the same no matter which leverage you choose.
And also the capital slider too, probably has some impact... although still inexplicable when we get profits of hundreds of thousands with a few thousands dollar of initial capital.
Thanks a lot again

Thanks AndrewAMD for your contribute.

I believe the default asset list has CFDs with leverage 100. So you should get similar values as in the manual for a 1:100 account.

If you get wrong profit values, check especially PIPCost and MarginCost. When they are wrong, the profit is also wrong.

Thanks Johann.

Hi Lozoteva,

What I meant was the z.ini file, the one in the strategy folder. This configuration file has some very useful parameters to modify Z Strategies behavior. But it is irrelevant to the problem you face.

I took your Asset file and ran the backtest on my system, with my history data. Results are also astronomical, basically identical to yours. So, you are right the key is hidden in the asset file.

The next result is from the default AssetFix - leverage 100 on all assets . These results are basically what you expect. The same results you get with your Asset file, with leverage set to 100 for all assets .

I have rechecked PIPCosts in all used Asset files, and no matter what lot size etc., the values are correct. My conclusion is, that the difference is indeed just due to the 500 leverage.

Concerning the way out, you have more options. If you keep your premium leverage account, then just adjust the capital slider to scale the back-test results to the 100 reference results.

Thank you so much hast29.... yes it's all about the leverage.
I also touched base with Zorro Support and they reassured me that the .csv file looks good and the results depend on the leverage and the initial investment.
And yes the capital slider as you said needs to be tunes as well.
Now I have all the picture way clearer than before.
Again thank you so much for your help, I really appreciate it.
Have a nice day

Another thing that probably contributes to this is your commission values. I read on the manual that commission is calculated per 10000 contracts. So I suppose the proper commission value would be $7*1000 /10000 = $0.7. (I'm assuming we have the same case of $7 commission per trade)

I tested this by using a demo account by comparing the status window of Zorro and MT4 (since I'm using Global Prime) and tradetest and they match.